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no Daily mode, really?

I've begun the tedious process of converting all my algos to Quantopian 2. Most of mine were daily strategies and I see now that there is no daily mode anymore.

Could someone please provide an example patch for converting the minute data to the daily OHLC?

3 responses

Hi Chris,

The best way to get daily data for specified equities is to use data.history. Here's the documentation on it. If you want the previous day's OHLC, you would do something like this:

data.history(sid(24), 'high', 2, '1d')[-2]  

We index in and take the second-to-last element because the last is the data so far for the current day. So if you want today's open, you would do:

data.history(sid(24), 'open', 1, '1d')[-1]  
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Thanks, I need to RTFM :)

There is also a good explanation on our Quantopian2 guide too: https://www.quantopian.com/quantopian2/migration#daily-v-minute

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.